Implementable algorithm for stochastic optimization using sample average approximations
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Cites work
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- scientific article; zbMATH DE number 1568995 (Why is no real title available?)
- scientific article; zbMATH DE number 824994 (Why is no real title available?)
- A simulation-based approach to two-stage stochastic programming with recourse
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- Optimization. Algorithms and consistent approximations
- Solving stochastic structural optimization problems by RSM-based stochastic approximation methods -- gradient estimation in case of intermediate variables
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Time-variant reliability-based structural optimization using sorm
Cited in
(19)- A discussion of probability functions and constraints from a variational perspective
- Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
- Reliability-based optimization of stochastic systems using line search
- On sample size control in sample average approximations for solving smooth stochastic programs
- An inner-outer approximation approach to chance constrained optimization
- Probability functions generated by set-valued mappings: a study of first order information
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- Extensions of stochastic optimization results to problems with system failure probability functions
- (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
- An efficient framework for optimal robust stochastic system design using stochastic simulation
- Computational methods in optimization considering uncertainties - An overview
- The sample average approximation method for stochastic discrete optimization
- A survey on approaches for reliability-based optimization
- An approximation scheme for uncertain minimax optimal control problems
- (Sub-)differentiability of probability functions with elliptical distributions
- Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- Generalized differentiation of probability functions acting on an infinite system of constraints
- Gradient formulae for probability functions depending on a heterogenous family of constraints
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